Subject: Re: Chart: timing with Nas100 RS screen
Just consider how long the S&P and Nasdaq100 took to make their money back from losses;
most humans would have given up rather than face that.

That is why we are using data not human feelings: I am greedy and want the most money. I long ago decided to tolerate losses and long recovery periods if it meant making more money. The evidence is what it is.


It occurred to me that in this type of screen the most important thing for timing is to reduce the drawdowns and have the discipline to stay the course during long periods where you are out of the stocks and sitting in an ultra-short bond ETF. It would be really nice if your out periods were shorter than the un-timed recovery of the bear markets.


"The moving average timing strategy makes the majority of its money by avoiding large, sustained market downturns. To be able to avoid those downturns, it has to accept a large number of small losses associated with switches that prove to be unnecessary."

"Avoid big losses. That’s the way to really make money over the years.
If you can be somewhat close on the way up and avoid the full brunt of large declines on the way down, you have a decent shot of outperforming over the long term and an even better chance of smoothing out your ride." -Julian Robertson


I have tried several timing schemes on this backtest. The best ones have MaxDD around -25%. Which is not actually too bad. The exact parameters of the SMA timing don't much matter. Every reasonable set of parameters worked pretty much the same; just minor differences in CAGR and MaxDD and number of out periods and total months out.

The problem is that they have you out and sitting in cash for 30 months and 18 months at a time. Pretty hard to not get itchy fingers somewhere around the 9'th month.
Of course, that's better than untimed with -66% MaxDD and 10+ years to recover.

I've experimented with a few simple ways of trying to recognize being past the bottom while the SMA is still saying to sell -- and everything I tried failed. I guess this screen is just too volatile.